Oval, so your thumb fits snug with no lateral movement. If you want to squeeze, or want to use a ton of tape, or your pitches are off so you need a loose thumb hole, or if your thumb is round like a circle, go with a circle hole.

This is one of those aspects where there isn't a right or wrong answer.

I just concluded a 3 month experiment using milled ovals and oval slugs. I got in around 100 games in varying conditions. Sometimes they felt good, but other times awkward.

The biggest issue I had was with swelling. I didn't feel like I had the flexibility in adding/removing tape that I have with a round hole. In the end, I went back to my "customized" round hole (manually scraping out the sides) to get the feel I need. It's no longer perfectly round, but it's also not as oval as a real oval.